Unfortunately this is not documented in the Wiki which raised some questions:
Is this normal that you have to do extra configuration on both IE7 and Firefox to get NTLM pass-thru authentication to work? I can understand Firefox but IE?

If you have successfully configured SSO with NTLM pass-thru without these extra configuration, please let me know.

Stats

Internet Explorer will use your Windows logon credentials when requested by the web server when SSO is enabled. Firefox and Mozilla also support the use of NTLM but you need to add the URI to the Alfresco site that you want to access to network.automatic-ntlm-auth.trusted-uris option (available through writing about:config in the URL field) to allow the browser to use your current credentials for login purposes.

I was under the impression that IE will work right out of the box without additional configuration.